D-vine copula based quantile regression
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Publication:112600
DOI10.1016/J.CSDA.2016.12.009zbMATH Open1466.62118arXiv1510.04161OpenAlexW2963318064MaRDI QIDQ112600FDOQ112600
Claudia Czado, Daniel Kraus, Daniel Kraus, Claudia Czado
Publication date: June 2017
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Abstract: Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. The authors introduce a new semiparametric quantile regression method based on sequentially fitting a likelihood optimal D-vine copula to given data resulting in highly flexible models with easily extractable conditional quantiles. As a subclass of regular vine copulas, D-vines enable the modeling of multivariate copulas in terms of bivariate building blocks, a so-called pair-copula construction (PCC). The proposed algorithm works fast and accurate even in high dimensions and incorporates an automatic variable selection by maximizing the conditional log-likelihood. Further, typical issues of quantile regression such as quantile crossing or transformations, interactions and collinearity of variables are automatically taken care of. In a simulation study the improved accuracy and saved computational time of the approach in comparison with established quantile regression methods is highlighted. An extensive financial application to international credit default swap (CDS) data including stress testing and Value-at-Risk (VaR) prediction demonstrates the usefulness of the proposed method.
Full work available at URL: https://arxiv.org/abs/1510.04161
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Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (26)
- Nonparametric modal regression with mixed variables and application to analyze the GDP data
- Prediction based on conditional distributions of vine copulas
- Simplified R-vine based forward regression
- Solving Estimating Equations With Copulas
- Model distances for vine copulas in high dimensions
- Robust optimization of mixed CVaR STARR ratio using copulas
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- Vine copula regression for observational studies
- Bayesian variable selection for non‐Gaussian responses: a marginally calibrated copula approach
- On copula-based conditional quantile estimators
- Copulae: an overview and recent developments
- Nonparametric C- and D-vine-based quantile regression
- Copula deep learning control chart for multivariate zero inflated count response variables
- Single-index composite quantile regression for ultra-high-dimensional data
- Copula-based link functions in binary regression models
- Single-index composite quantile regression for massive data
- A Time-Heterogeneous D-Vine Copula Model for Unbalanced and Unequally Spaced Longitudinal Data
- vinereg
- Semi-parametric copula-based models under non-stationarity
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- Modelling credit card exposure at default using vine copula quantile regression
- Predicting times to event based on vine copula models
- High-Dimensional Spatial Quantile Function-on-Scalar Regression
- Dependence properties of conditional distributions of some copula models
- Copula-based regression models with data missing at random
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
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